A Cuesheet is something like a playlist. If you have a big mp3, an album or a liveset, you can load the cuesheet into a mp3 player (which support *.cue) and switch between the tracks in the set, gapfree of course. So you don't need to split the mp3 into single mp3 files...
You can also use the Cuesheet to burn the mp3 on an Audio CD, so that you can also switch between the tracks.
See this link for more info.
Here you can find a Cue Plugin for Winamp.